Aggregated price index with volume information
- Energy Minerals stocks down 1.2% on average while median return down 1.2% in a day
- Energy Minerals stocks up 3.6% on average while median return up 2.8% in a week
- Energy Minerals stocks up 3.5% on average while median return up 1.9% in a month
- When average return is significantly different from median return, this implies an asymmetry - composite return is driven by some outliners.
Aggregated price index (close) is based on equal weighted constituencies returns. Average short volume and average total volumes are averaged across all volume data among constituencies.
- 1M winners are : Winners for past month are $METC 37.4%, $ARCH 32.9%, $HCC 30.1%, $AMR 28.8%, $AREC 28.5%
- 1M losers are : Losers for past month are $FRHC -15.9%, $YPF -16.2%, $EPM -18.7%, $TGS -19.6%, $MTR -22.8%
- 1W winners are : Winners for past week are $AREC 25.6%, $METC 22.7%, $SES 16.4%, $HNRG 15.5%, $KOS 14.7%
- 1W losers are : Losers for past week are $AE -4.2%, $NEXT -4.7%, $YPF -4.8%, $TGS -6.7%, $EC -7.9%
Index correlation analysis
Correlation for the past month is 35.0%, for the past 3 months is 31.1%
In the past month for a 5 days rolling window, the highest corrrelation is 52.5%, the lowest correlation is 5.0%, the latest correlation is 52.5%
When a correlation deviated from the normal level and goes lower or even negative, it indicates some of stocks have deviated from the normal direction of the group. The deviation could reverse if long term level of correlation was at a higher level. It creates trading opportunities and deserves study whether the deviation is idiosyncratic or systematic.
Among pairwise correlation, the highest correlation is 91.2% between CTRA and CVE
The lowest correlation is -49.8% between BATL and BPT
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